root/doc/html/classbdm_1_1EKF.html @ 270

Revision 270, 25.7 kB (checked in by smidl, 16 years ago)

Changes in the very root classes!
* rv and rvc are no longer compulsory,
* samplecond does not return ll
* BM has drv

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3<title>mixpp: bdm::EKF&lt; sq_T &gt; Class Template Reference</title>
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27  <div class="navpath"><a class="el" href="namespacebdm.html">bdm</a>::<a class="el" href="classbdm_1_1EKF.html">EKF</a>
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30<div class="contents">
31<h1>bdm::EKF&lt; sq_T &gt; Class Template Reference</h1><!-- doxytag: class="bdm::EKF" --><!-- doxytag: inherits="Kalman&lt; fsqmat &gt;" --><code>#include &lt;<a class="el" href="libKF_8h-source.html">libKF.h</a>&gt;</code>
32<p>
33<div class="dynheader">
34Inheritance diagram for bdm::EKF&lt; sq_T &gt;:</div>
35<div class="dynsection">
36<p><center><img src="classbdm_1_1EKF__inherit__graph.png" border="0" usemap="#bdm_1_1EKF_3_01sq__T_01_4__inherit__map" alt="Inheritance graph"></center>
37<map name="bdm_1_1EKF_3_01sq__T_01_4__inherit__map">
38<area shape="rect" href="classbdm_1_1Kalman.html" title="bdm::Kalman\&lt; fsqmat \&gt;" alt="" coords="5,263,187,289"><area shape="rect" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities." alt="" coords="33,87,111,113"><area shape="rect" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form." alt="" coords="93,167,259,193"><area shape="rect" href="classbdm_1_1bdmroot.html" title="Root class of BDM objects." alt="" coords="16,7,128,33"></map>
39<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
40
41<p>
42<a href="classbdm_1_1EKF-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
43<h3>template&lt;class sq_T&gt;<br>
44 class bdm::EKF&lt; sq_T &gt;</h3>
45
46Extended <a class="el" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> Filter.
47<p>
48An approximation of the exact Bayesian filter with Gaussian noices and non-linear evolutions of their mean. <table border="0" cellpadding="0" cellspacing="0">
49<tr><td></td></tr>
50<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
51<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d087a8bb408d26ac4f5c542746b81059"></a><!-- doxytag: member="bdm::EKF::EKF" ref="d087a8bb408d26ac4f5c542746b81059" args="(RV rvx, RV rvy, RV rvu)" -->
52&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKF.html#d087a8bb408d26ac4f5c542746b81059">EKF</a> (<a class="el" href="classbdm_1_1RV.html">RV</a> rvx, <a class="el" href="classbdm_1_1RV.html">RV</a> <a class="el" href="classbdm_1_1Kalman.html#3fe475a1e920b20b63bb342c0e1571f7">rvy</a>, <a class="el" href="classbdm_1_1RV.html">RV</a> <a class="el" href="classbdm_1_1Kalman.html#149e27424fd1a7cc1c998ea088618a94">rvu</a>)</td></tr>
53
54<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Default constructor. <br></td></tr>
55<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="00fec1a0a6a467eb83fb36c65eba7bcb"></a><!-- doxytag: member="bdm::EKF::set_parameters" ref="00fec1a0a6a467eb83fb36c65eba7bcb" args="(diffbifn *pfxu, diffbifn *phxu, const sq_T Q0, const sq_T R0)" -->
56void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKF.html#00fec1a0a6a467eb83fb36c65eba7bcb">set_parameters</a> (<a class="el" href="classbdm_1_1diffbifn.html">diffbifn</a> *pfxu, <a class="el" href="classbdm_1_1diffbifn.html">diffbifn</a> *phxu, const sq_T Q0, const sq_T R0)</td></tr>
57
58<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set nonlinear functions for mean values and covariance matrices. <br></td></tr>
59<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3fb182ecc29b10ca1163cecbf3bcccfa"></a><!-- doxytag: member="bdm::EKF::bayes" ref="3fb182ecc29b10ca1163cecbf3bcccfa" args="(const vec &amp;dt)" -->
60void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKF.html#3fb182ecc29b10ca1163cecbf3bcccfa">bayes</a> (const vec &amp;dt)</td></tr>
61
62<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Here dt = [yt;ut] of appropriate dimensions. <br></td></tr>
63<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="94eb8cc31731210089db0ba4e1a08a6c"></a><!-- doxytag: member="bdm::EKF::set_parameters" ref="94eb8cc31731210089db0ba4e1a08a6c" args="(const mat &amp;A0, const mat &amp;B0, const mat &amp;C0, const mat &amp;D0, const fsqmat &amp;R0, const fsqmat &amp;Q0)" -->
64void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#94eb8cc31731210089db0ba4e1a08a6c">set_parameters</a> (const mat &amp;A0, const mat &amp;B0, const mat &amp;C0, const mat &amp;D0, const <a class="el" href="classfsqmat.html">fsqmat</a> &amp;R0, const <a class="el" href="classfsqmat.html">fsqmat</a> &amp;Q0)</td></tr>
65
66<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set parameters with check of relevance. <br></td></tr>
67<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9264fc6b173ecb803d2684b883f32c68"></a><!-- doxytag: member="bdm::EKF::set_est" ref="9264fc6b173ecb803d2684b883f32c68" args="(const vec &amp;mu0, const fsqmat &amp;P0)" -->
68void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#9264fc6b173ecb803d2684b883f32c68">set_est</a> (const vec &amp;mu0, const <a class="el" href="classfsqmat.html">fsqmat</a> &amp;P0)</td></tr>
69
70<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set estimate values, used e.g. in initialization. <br></td></tr>
71<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="93b5936ba397f13c05f52885c545f42d"></a><!-- doxytag: member="bdm::EKF::_epdf" ref="93b5936ba397f13c05f52885c545f42d" args="() const " -->
72const <a class="el" href="classbdm_1_1epdf.html">epdf</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#93b5936ba397f13c05f52885c545f42d">_epdf</a> () const </td></tr>
73
74<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
75<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c34989b1e53c7d4ecdaea63a95ddbd77"></a><!-- doxytag: member="bdm::EKF::_e" ref="c34989b1e53c7d4ecdaea63a95ddbd77" args="() const " -->
76const <a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; <a class="el" href="classfsqmat.html">fsqmat</a> &gt; *&nbsp;</td><td class="memItemRight" valign="bottom"><b>_e</b> () const </td></tr>
77
78<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c788ec6e6c6f5f5861ae8a56d8ede277"></a><!-- doxytag: member="bdm::EKF::__K" ref="c788ec6e6c6f5f5861ae8a56d8ede277" args="()" -->
79mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c788ec6e6c6f5f5861ae8a56d8ede277">__K</a> ()</td></tr>
80
81<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
82<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a250d1dbe7bba861dba2a324520cfa48"></a><!-- doxytag: member="bdm::EKF::_dP" ref="a250d1dbe7bba861dba2a324520cfa48" args="()" -->
83vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#a250d1dbe7bba861dba2a324520cfa48">_dP</a> ()</td></tr>
84
85<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
86<tr><td colspan="2"><div class="groupHeader">Constructors</div></td></tr>
87<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual <a class="el" href="classbdm_1_1BM.html">BM</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#c0f027ff91d8459937c6f60ff8e553ff">_copy_</a> ()</td></tr>
88
89<tr><td colspan="2"><div class="groupHeader">Mathematical operations</div></td></tr>
90<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1dee3fddaf021e62d925289660a707dc"></a><!-- doxytag: member="bdm::EKF::bayesB" ref="1dee3fddaf021e62d925289660a707dc" args="(const mat &amp;Dt)" -->
91virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#1dee3fddaf021e62d925289660a707dc">bayesB</a> (const mat &amp;Dt)</td></tr>
92
93<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr>
94<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#50257e0c1e5b5c73153ea6e716ad8ae0">logpred</a> (const vec &amp;dt) const </td></tr>
95
96<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0e8ebe61fb14990abe1254bd3dda5fae"></a><!-- doxytag: member="bdm::EKF::logpred_m" ref="0e8ebe61fb14990abe1254bd3dda5fae" args="(const mat &amp;dt) const " -->
97vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#0e8ebe61fb14990abe1254bd3dda5fae">logpred_m</a> (const mat &amp;dt) const </td></tr>
98
99<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix version of logpred. <br></td></tr>
100<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="688d7a2aced1e06aa1c468d73a9e5eba"></a><!-- doxytag: member="bdm::EKF::epredictor" ref="688d7a2aced1e06aa1c468d73a9e5eba" args="() const " -->
101virtual <a class="el" href="classbdm_1_1epdf.html">epdf</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#688d7a2aced1e06aa1c468d73a9e5eba">epredictor</a> () const </td></tr>
102
103<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs a predictive density <img class="formulaInl" alt="$ f(d_{t+1} |d_{t}, \ldots d_{0}) $" src="form_112.png">. <br></td></tr>
104<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="598b25e3f3d96a5bc00a5faeb5b3c912"></a><!-- doxytag: member="bdm::EKF::predictor" ref="598b25e3f3d96a5bc00a5faeb5b3c912" args="() const " -->
105virtual <a class="el" href="classbdm_1_1mpdf.html">mpdf</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#598b25e3f3d96a5bc00a5faeb5b3c912">predictor</a> () const </td></tr>
106
107<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs a conditional density 1-step ahead predictor. <br></td></tr>
108<tr><td colspan="2"><div class="groupHeader">Access to attributes</div></td></tr>
109<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ff2d8755ba0b3def927d31305c03b09c"></a><!-- doxytag: member="bdm::EKF::_drv" ref="ff2d8755ba0b3def927d31305c03b09c" args="() const " -->
110const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>_drv</b> () const </td></tr>
111
112<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f135ae6dce7e9f30c9f88229c7930b96"></a><!-- doxytag: member="bdm::EKF::set_drv" ref="f135ae6dce7e9f30c9f88229c7930b96" args="(const RV &amp;rv)" -->
113void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_drv</b> (const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;rv)</td></tr>
114
115<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5be65d37dedfe33a3671e7065f523a70"></a><!-- doxytag: member="bdm::EKF::_ll" ref="5be65d37dedfe33a3671e7065f523a70" args="() const " -->
116double&nbsp;</td><td class="memItemRight" valign="bottom"><b>_ll</b> () const </td></tr>
117
118<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="236b3abbcc93594fc97cd86d82c1a83f"></a><!-- doxytag: member="bdm::EKF::set_evalll" ref="236b3abbcc93594fc97cd86d82c1a83f" args="(bool evl0)" -->
119void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_evalll</b> (bool evl0)</td></tr>
120
121<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
122<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3fe475a1e920b20b63bb342c0e1571f7"></a><!-- doxytag: member="bdm::EKF::rvy" ref="3fe475a1e920b20b63bb342c0e1571f7" args="" -->
123<a class="el" href="classbdm_1_1RV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#3fe475a1e920b20b63bb342c0e1571f7">rvy</a></td></tr>
124
125<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of output rv. <br></td></tr>
126<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="149e27424fd1a7cc1c998ea088618a94"></a><!-- doxytag: member="bdm::EKF::rvu" ref="149e27424fd1a7cc1c998ea088618a94" args="" -->
127<a class="el" href="classbdm_1_1RV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#149e27424fd1a7cc1c998ea088618a94">rvu</a></td></tr>
128
129<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of exogeneous rv. <br></td></tr>
130<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba7699cdb3b1382a54d3e28b9b7517fa"></a><!-- doxytag: member="bdm::EKF::dimx" ref="ba7699cdb3b1382a54d3e28b9b7517fa" args="" -->
131int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#ba7699cdb3b1382a54d3e28b9b7517fa">dimx</a></td></tr>
132
133<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rv.count() <br></td></tr>
134<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d2c36ba01760bf207b985bf321b7817f"></a><!-- doxytag: member="bdm::EKF::dimy" ref="d2c36ba01760bf207b985bf321b7817f" args="" -->
135int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f">dimy</a></td></tr>
136
137<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvy.count() <br></td></tr>
138<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c5136ef617f6ac0e426bea222755d92b"></a><!-- doxytag: member="bdm::EKF::dimu" ref="c5136ef617f6ac0e426bea222755d92b" args="" -->
139int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c5136ef617f6ac0e426bea222755d92b">dimu</a></td></tr>
140
141<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvu.count() <br></td></tr>
142<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0a2072e2090c10fac74ad30a023a4ace"></a><!-- doxytag: member="bdm::EKF::A" ref="0a2072e2090c10fac74ad30a023a4ace" args="" -->
143mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#0a2072e2090c10fac74ad30a023a4ace">A</a></td></tr>
144
145<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix A. <br></td></tr>
146<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5977b2c81857948a35105f0e7840203c"></a><!-- doxytag: member="bdm::EKF::B" ref="5977b2c81857948a35105f0e7840203c" args="" -->
147mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#5977b2c81857948a35105f0e7840203c">B</a></td></tr>
148
149<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix B. <br></td></tr>
150<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="818eba63a23972786a4579ad30294177"></a><!-- doxytag: member="bdm::EKF::C" ref="818eba63a23972786a4579ad30294177" args="" -->
151mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#818eba63a23972786a4579ad30294177">C</a></td></tr>
152
153<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix C. <br></td></tr>
154<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7b56ac423d0654b5755e4f852a870456"></a><!-- doxytag: member="bdm::EKF::D" ref="7b56ac423d0654b5755e4f852a870456" args="" -->
155mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#7b56ac423d0654b5755e4f852a870456">D</a></td></tr>
156
157<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix D. <br></td></tr>
158<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="70f8bf19e81b532c60fd3a7a152425ee"></a><!-- doxytag: member="bdm::EKF::Q" ref="70f8bf19e81b532c60fd3a7a152425ee" args="" -->
159<a class="el" href="classfsqmat.html">fsqmat</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#70f8bf19e81b532c60fd3a7a152425ee">Q</a></td></tr>
160
161<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix Q in square-root form. <br></td></tr>
162<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="475b088287cdfbba4dc60a3d027728b7"></a><!-- doxytag: member="bdm::EKF::R" ref="475b088287cdfbba4dc60a3d027728b7" args="" -->
163<a class="el" href="classfsqmat.html">fsqmat</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#475b088287cdfbba4dc60a3d027728b7">R</a></td></tr>
164
165<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix R in square-root form. <br></td></tr>
166<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="383f329ff18bbe219254c8b3b916f40d"></a><!-- doxytag: member="bdm::EKF::est" ref="383f329ff18bbe219254c8b3b916f40d" args="" -->
167<a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; <a class="el" href="classfsqmat.html">fsqmat</a> &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#383f329ff18bbe219254c8b3b916f40d">est</a></td></tr>
168
169<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior density on $x_t$ <br></td></tr>
170<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba555c394c429f6831c9bbabfa2c944c"></a><!-- doxytag: member="bdm::EKF::fy" ref="ba555c394c429f6831c9bbabfa2c944c" args="" -->
171<a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; <a class="el" href="classfsqmat.html">fsqmat</a> &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#ba555c394c429f6831c9bbabfa2c944c">fy</a></td></tr>
172
173<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">preditive density on $y_t$ <br></td></tr>
174<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bd69dfb802465f22dd84d73a180d5c92"></a><!-- doxytag: member="bdm::EKF::_K" ref="bd69dfb802465f22dd84d73a180d5c92" args="" -->
175mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#bd69dfb802465f22dd84d73a180d5c92">_K</a></td></tr>
176
177<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">placeholder for Kalman gain <br></td></tr>
178<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c249d45258c8578b13858ad3e7b729b1"></a><!-- doxytag: member="bdm::EKF::_yp" ref="c249d45258c8578b13858ad3e7b729b1" args="" -->
179vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c249d45258c8578b13858ad3e7b729b1">_yp</a></td></tr>
180
181<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.mu <br></td></tr>
182<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2dd268f2d7fbe6382cb8825a1114192a"></a><!-- doxytag: member="bdm::EKF::_Ry" ref="2dd268f2d7fbe6382cb8825a1114192a" args="" -->
183<a class="el" href="classfsqmat.html">fsqmat</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#2dd268f2d7fbe6382cb8825a1114192a">_Ry</a></td></tr>
184
185<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.R <br></td></tr>
186<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fa172078091e45561343fa513dd573b0"></a><!-- doxytag: member="bdm::EKF::_mu" ref="fa172078091e45561343fa513dd573b0" args="" -->
187vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#fa172078091e45561343fa513dd573b0">_mu</a></td></tr>
188
189<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.mu <br></td></tr>
190<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="00c27b0bf324f0018497921ca23c71ed"></a><!-- doxytag: member="bdm::EKF::_P" ref="00c27b0bf324f0018497921ca23c71ed" args="" -->
191<a class="el" href="classfsqmat.html">fsqmat</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#00c27b0bf324f0018497921ca23c71ed">_P</a></td></tr>
192
193<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.R <br></td></tr>
194<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c400357e37d27a4834b2b1d9211009ed"></a><!-- doxytag: member="bdm::EKF::drv" ref="c400357e37d27a4834b2b1d9211009ed" args="" -->
195<a class="el" href="classbdm_1_1RV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#c400357e37d27a4834b2b1d9211009ed">drv</a></td></tr>
196
197<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the data (optional). <br></td></tr>
198<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4064b6559d962633e4372b12f4cd204a"></a><!-- doxytag: member="bdm::EKF::ll" ref="4064b6559d962633e4372b12f4cd204a" args="" -->
199double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#4064b6559d962633e4372b12f4cd204a">ll</a></td></tr>
200
201<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr>
202<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="faff0ad12556fe7dc0e2807d4fd938ee"></a><!-- doxytag: member="bdm::EKF::evalll" ref="faff0ad12556fe7dc0e2807d4fd938ee" args="" -->
203bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#faff0ad12556fe7dc0e2807d4fd938ee">evalll</a></td></tr>
204
205<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">If true, the filter will compute likelihood of the data record and store it in <code>ll</code> . Set to false if you want to save computational time. <br></td></tr>
206</table>
207<hr><h2>Member Function Documentation</h2>
208<a class="anchor" name="c0f027ff91d8459937c6f60ff8e553ff"></a><!-- doxytag: member="bdm::EKF::_copy_" ref="c0f027ff91d8459937c6f60ff8e553ff" args="()" -->
209<div class="memitem">
210<div class="memproto">
211      <table class="memname">
212        <tr>
213          <td class="memname">virtual <a class="el" href="classbdm_1_1BM.html">BM</a>* bdm::BM::_copy_           </td>
214          <td>(</td>
215          <td class="paramname">          </td>
216          <td>&nbsp;)&nbsp;</td>
217          <td><code> [inline, virtual, inherited]</code></td>
218        </tr>
219      </table>
220</div>
221<div class="memdoc">
222
223<p>
224Copy function required in vectors, Arrays of <a class="el" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.">BM</a> etc. Have to be DELETED manually! Prototype: <div class="fragment"><pre class="fragment"> BM* <a class="code" href="classbdm_1_1BM.html#c0f027ff91d8459937c6f60ff8e553ff">_copy_</a>(){<span class="keywordflow">return</span> <span class="keyword">new</span> BM(*<span class="keyword">this</span>);}
225</pre></div> 
226<p>Reimplemented in <a class="el" href="classbdm_1_1ARX.html#60c40b5c6abc4c7e464b4ccae64a5a61">bdm::ARX</a>.</p>
227
228</div>
229</div><p>
230<a class="anchor" name="50257e0c1e5b5c73153ea6e716ad8ae0"></a><!-- doxytag: member="bdm::EKF::logpred" ref="50257e0c1e5b5c73153ea6e716ad8ae0" args="(const vec &amp;dt) const " -->
231<div class="memitem">
232<div class="memproto">
233      <table class="memname">
234        <tr>
235          <td class="memname">virtual double bdm::BM::logpred           </td>
236          <td>(</td>
237          <td class="paramtype">const vec &amp;&nbsp;</td>
238          <td class="paramname"> <em>dt</em>          </td>
239          <td>&nbsp;)&nbsp;</td>
240          <td> const<code> [inline, virtual, inherited]</code></td>
241        </tr>
242      </table>
243</div>
244<div class="memdoc">
245
246<p>
247Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.
248<p>Reimplemented in <a class="el" href="classbdm_1_1ARX.html#080a7e531e3aa06694112863b15bc6a4">bdm::ARX</a>, <a class="el" href="classbdm_1_1MixEF.html#da724da464a75e07521941e430929efa">bdm::MixEF</a>, and <a class="el" href="classbdm_1_1multiBM.html#e157b607c1e3fa91d42aeea44458e2bf">bdm::multiBM</a>.</p>
249
250<p>Referenced by <a class="el" href="libBM_8h-source.html#l00608">bdm::BM::logpred_m()</a>.</p>
251
252</div>
253</div><p>
254<hr>The documentation for this class was generated from the following file:<ul>
255<li><a class="el" href="libKF_8h-source.html">libKF.h</a></ul>
256</div>
257<hr size="1"><address style="text-align: right;"><small>Generated on Wed Feb 11 23:34:02 2009 for mixpp by&nbsp;
258<a href="http://www.doxygen.org/index.html">
259<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.6 </small></address>
260</body>
261</html>
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